The rewind gag is an absurdist gag in which the show is "rewound" to, ostensibly, a previous point in order to dispute what was said. This is almost never actually the case.
After several episodes, Lars started foregoing a proper execution of the gag entirely, instead choosing to insert a random non-sequitur clip from some other media. The joke, now, is that the rewind is pointless, as it gives the wrong information.
In later months, Lars chose to semi-retire the gag, citing difficulty reliably finding clips that are particularly funny out of context to use, as well as noting the somewhat forced nature of the gag; he notes that it can be a little difficult to understand for new listeners, unaware that it is a gag.
Rewind sound Edit
The sound used for most rewind gags is this one. When the show itself is "rewound" in other ways, Lars instead tends to utilize a clip from "A Better Tomorrow" by Dan the Automator.